OvernightCurveAPI.java
package org.drip.service.state;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>OvernightCurveAPI</i> computes the Metrics associated the Overnight Curve State.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/README.md">Environment, Product/Definition Containers, and Scenario/State Manipulation APIs</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/state/README.md">Curve Based State Metric Generator</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class OvernightCurveAPI {
/**
* Generate the Overnight Curve Horizon Metrics for the Specified Date
*
* @param dtSpot The Spot Date
* @param astrOvernightCurveOISTenor Array of Overnight Curve Fix Float OIS Maturity Tenors
* @param adblOvernightCurveOISQuote Array of Overnight Curve OIS Rates
* @param astrInTenor Array of "In" Tenors
* @param astrForTenor Array of "For" Tenors
* @param strCurrency Overnight Currency
* @param iLatentStateType Latent State Type
*
* @return The Overnight Curve Horizon Metrics
*/
public static final org.drip.historical.state.FundingCurveMetrics DailyMetrics (
final org.drip.analytics.date.JulianDate dtSpot,
final java.lang.String[] astrOvernightCurveOISTenor,
final double[] adblOvernightCurveOISQuote,
final java.lang.String[] astrInTenor,
final java.lang.String[] astrForTenor,
final java.lang.String strCurrency,
final int iLatentStateType)
{
if (null == dtSpot || null == astrOvernightCurveOISTenor || null == adblOvernightCurveOISQuote ||
null == astrInTenor || null == astrForTenor)
return null;
int iNumInTenor = astrInTenor.length;
int iNumForTenor = astrForTenor.length;
double[] adblForTenorDCF = new double[iNumForTenor];
int iNumCalibrationInstrument = astrOvernightCurveOISTenor.length;
int iNumOISQuote = null == adblOvernightCurveOISQuote ? 0 : adblOvernightCurveOISQuote.length;
if (0 == iNumCalibrationInstrument || 0 == iNumInTenor || 0 == iNumForTenor || iNumOISQuote !=
iNumCalibrationInstrument)
return null;
for (int i = 0; i < iNumForTenor; ++i) {
try {
adblForTenorDCF[i] = org.drip.analytics.support.Helper.TenorToYearFraction (astrForTenor[i]);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
org.drip.state.discount.MergedDiscountForwardCurve dcOvernight =
org.drip.service.template.LatentMarketStateBuilder.OvernightCurve (dtSpot, strCurrency, null,
null, "Rate", astrOvernightCurveOISTenor, adblOvernightCurveOISQuote, "SwapRate", null, null,
null, "SwapRate", null, null, "SwapRate", iLatentStateType);
if (null == dcOvernight) return null;
try {
org.drip.historical.state.FundingCurveMetrics fcm = new
org.drip.historical.state.FundingCurveMetrics (dtSpot);
for (java.lang.String strInTenor : astrInTenor) {
org.drip.analytics.date.JulianDate dtIn = dtSpot.addTenor (strInTenor);
for (int j = 0; j < iNumForTenor; ++j) {
if (!fcm.addNativeForwardRate (strInTenor, astrForTenor[j], java.lang.Math.pow
(dcOvernight.df (dtIn) / dcOvernight.df (dtIn.addTenor (astrForTenor[j])), 1. /
adblForTenorDCF[j]) - 1.))
return null;
}
}
return fcm;
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Generate the Overnight Curve Horizon Metrics For an Array of Closing Dates
*
* @param adtSpot Array of Spot
* @param astrOvernightCurveOISTenor Array of Overnight Curve Fix Float OIS Maturity Tenors
* @param aadblOvernightCurveOISQuote Array of Overnight Curve OIS Rates
* @param astrInTenor Array of "In" Tenors
* @param astrForTenor Array of "For" Tenors
* @param strCurrency Overnight Currency
* @param iLatentStateType Latent State Type
*
* @return The Overnight Curve Horizon Metrics
*/
public static final java.util.Map<org.drip.analytics.date.JulianDate,
org.drip.historical.state.FundingCurveMetrics> HorizonMetrics (
final org.drip.analytics.date.JulianDate[] adtSpot,
final java.lang.String[] astrOvernightCurveOISTenor,
final double[][] aadblOvernightCurveOISQuote,
final java.lang.String[] astrInTenor,
final java.lang.String[] astrForTenor,
final java.lang.String strCurrency,
final int iLatentStateType)
{
if (null == adtSpot || null == astrOvernightCurveOISTenor || null == aadblOvernightCurveOISQuote ||
null == astrInTenor || null == astrForTenor)
return null;
int iNumClose = adtSpot.length;
int iNumInTenor = astrInTenor.length;
int iNumForTenor = astrForTenor.length;
double[] adblForTenorDCF = new double[iNumForTenor];
int iNumCalibrationInstrument = astrOvernightCurveOISTenor.length;
if (0 == iNumClose || 0 == iNumCalibrationInstrument || 0 == iNumInTenor || 0 == iNumForTenor)
return null;
for (int i = 0; i < iNumForTenor; ++i) {
try {
adblForTenorDCF[i] = org.drip.analytics.support.Helper.TenorToYearFraction (astrForTenor[i]);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
java.util.Map<org.drip.analytics.date.JulianDate, org.drip.historical.state.FundingCurveMetrics>
mapFCM = new java.util.TreeMap<org.drip.analytics.date.JulianDate,
org.drip.historical.state.FundingCurveMetrics>();
for (int i = 0; i < iNumClose; ++i) {
org.drip.historical.state.FundingCurveMetrics fcm = null;
int iNumOISQuote = null == aadblOvernightCurveOISQuote[i] ? 0 :
aadblOvernightCurveOISQuote[i].length;
if (0 == iNumOISQuote || iNumOISQuote != iNumCalibrationInstrument) continue;
org.drip.state.discount.MergedDiscountForwardCurve dcOvernight =
org.drip.service.template.LatentMarketStateBuilder.OvernightCurve (adtSpot[i], strCurrency,
null, null, "Rate", astrOvernightCurveOISTenor, aadblOvernightCurveOISQuote[i],
"SwapRate", null, null, null, "SwapRate", null, null, "SwapRate", iLatentStateType);
if (null == dcOvernight) continue;
try {
fcm = new org.drip.historical.state.FundingCurveMetrics (adtSpot[i]);
for (java.lang.String strInTenor : astrInTenor) {
org.drip.analytics.date.JulianDate dtIn = adtSpot[i].addTenor (strInTenor);
for (int j = 0; j < iNumForTenor; ++j) {
if (!fcm.addNativeForwardRate (strInTenor, astrForTenor[j], java.lang.Math.pow
(dcOvernight.df (dtIn) / dcOvernight.df (dtIn.addTenor (astrForTenor[j])), 1. /
adblForTenorDCF[j]) - 1.))
continue;
}
}
} catch (java.lang.Exception e) {
e.printStackTrace();
continue;
}
mapFCM.put (adtSpot[i], fcm);
}
return mapFCM;
}
}